文档介绍：Why Do Security Prices
Change? A Transaction-Level
Analysis of NYSE Stocks
Ananth Madhavan
University of Southern California
Matthew Richardson
New York University and NBER
Mark Roomans
JP Morgan Investment Management Inc.
This article develops and tests a structural model
of intraday price formation that embodies pub-
lic information shocks and microstructure
effects. We use the model to analyze intraday
patterns in bid-ask spreads, price volatility,
transaction costs, and return and quote auto-
correlations, and to construct metrics for price
discovery and effective trading costs. Informa-
tion asymmetry and uncertainty over fundamen-
tals decrease over the day, although transaction
costs increase. The results help explain the U-
shaped pattern in intraday bid-ask spreads and
volatility, and are also consistent with the intra-
day decline in the variance of ask price changes.
Part of this research pleted while A. Madhavan was visiting the
New York Stock Exchange. We thank Larry Harris, Joel Hasbrouck, Den-
nis Sheehan, James Shapiro, Ingrid Werner, and an anonymous referee for
their suggestions. Seminar participants at the Western Finance Association
Meetings, the High Frequency Data Conference (Zurich), IESE Barcelona,
UC Berkeley, UCLA, Duke University, Hebrew University, INSEAD, Univer-
sity of Iowa, London School of Economics, University of Maryland, New
York University, University of North Carolina, Ohio State University, Penn
State University, University of Southern California, Tel Aviv University, Uni-
versity of Utah, and Wharton provided many ments. Research
support from the Geewax-Terker Research Fund (Madhavan and Richard-
son) and the University of Pennsylvania Research Foundation (Richardson)
is gratefully acknowledged. Address correspondence to Ananth Madhavan,
Marshall School of Business, University of Southern California, Los Angeles,
CA 90089-1421.
The Review of Financial Studies Winter 1997 Vol. 10, No. 4, pp